Greg Hanggi, refinery general manager, said: "The loss of our co-workers has come as a huge shock to us all. "Our thoughts and deepest sympathy go out to their families. We will ensure that all employees and contractors are fully supported throughout this difficult time."
He added that Chevron would take every step possible to determine the series of events leading to the tragic incident and ensure that any lessons learnt from it would be learned. Mr Hanggi also paid tribute to the emergency services who attended.
First Minister Carwyn Jones offered his sympathy to bereaved families and workers, adding: "I am shocked to learn of the accident at the Chevron refinery in Pembroke".
Welsh Secretary Cheryl Gillan added her condolences to families and colleagues of the dead.
"We've been in contact with Chevron and Milford Haven Port Authority and have been asked to be kept fully informed about the investigation into this tragic event," she said.
"It is essential to understand how this tragedy occurred."
Eyewitnesses in the area described the moment when the blast occurred.
Marcus Lutwyche, owner of a shop in the village of Angle near the refinery, said: "I ran to the front and saw a huge plume of smoke. It was black and filled the sky. It must have been 50 or so metres wide."
His wife, Joanne Lutwyche, said: "Quite a few people in the village work at Chevron and would have been changing shifts when the explosion happened, so everyone's really concerned for who might be involved.
"The last time something like this happened must have been about 17 years ago."
Phil Horne was in his back garden in Milford Haven, on the opposite side of the waterway, at the time of the incident.
"I heard a large explosion, turned around and saw a large fireball disappearing into the sky," he said.
"It went about halfway up the chimney stack of the refinery."
Liz Herbert, who also lives on the other side of the haven, said: "I heard a massive bang and saw a huge plume of thick black smoke.
"It was really frightening."
'No ongoing risk'
Earlier Ch Supt Gwyn Thomas of Dyfed-Powys Police said officers were informing the victims' families and an investigation was under way into what appeared to be a "tragic industrial incident".
Assistant Chief Fire Officer Chris Davies said there was no ongoing risk to health to members of the public as a result of the incident.
"We can confirm that any material released into the atmosphere as a result of the blast was immediately dispersed. The wind was blowing off shore, away from residential areas," he said.
The Health and Safety Executive said it was too early to speculate about the cause of the blast.
Milford Haven coastguards reported a "blast large enough to shake the windows" with "black smoke in the air" shortly after 1820 BST.
The Mid and West Wales Fire and Rescue Service sent 10 engines to the scene and brought the incident under control within an hour and a half.
Wales Air Ambulance said a man had been airlifted to Morriston Hospital in Swansea with severe burns.
The refinery was formerly known as Texaco, later rebranded Chevron-Texaco and known as Chevron since around 2005.
In March, Chevron confirmed Texan oil company Valero Energy had agreed to buy the refinery fo$730m (£446m) and pay a further $1bn (£611m) for the stocks of oil, petrol and other products on site.
The site, which can refine 220,000 barrels of crude oil a day into petrol and other products, has yet to change hands.
Earlier this year the sale of the refinery, which is one of the largest in western Europe and employs 1,400 people, was secured.
Valero agreed to buy the refinery site for $730m (£458m) and another $1bn (£611m) for assets including Chevron's petrol stations in the UK and Ireland.
There have been previous incidents at the refinery.
In June 2001 a fire was caused by a hydrogen leak, with smoke seen by eyewitnesses rising hundreds of feet into the air. No-one was injured.
In March 2003 there was a fire in a specialist catalytic cracking unit, and in September that year two people were taken to hospital after fire in a steam plant.
However Simon Hart, Conservative MP for Carmarthen West and South Pembrokeshire, praised the plant's safety record.
"It's a really important business but it is a dangerous one and it's had a fantastic safety record," he said.
"Credit where credit's due, it's had a long a good record.
"I don't think we should go around dishing out blame until the investigation is over."